How to render a volumetric shadow?
Make a point cloud where you want your voluminous shadow to be (I suggest keeping it cubish in shape so everything matches up alright), and use the volume shader on this extra object instead of the surface shader. Making it a shadeless object would also keep it from casting any additional shadows (I don't think it does with the point cloud method, but this is a workaround if it does.). You can mix this whole thing with a transparent shader to control how visible it is.

EDIT: Point cloud is unnecessary with this method, just warp a cube to the right shape.